The Causal Relationship between Producer Price Index and Consumer Price Index: Empirical Evidence from Selected European Countries
|
|
- Mitchell Stafford
- 7 years ago
- Views:
Transcription
1 The Causal Relationship between Producer Price Index and Consumer Price Index: Empirical Evidence from Selected European Countries Selçuk AKÇAY Afyon Kocatepe University, Faculty of Economics and Administrative Sciences Department of Economics, Afyonkarahisar, Turkey Tel: /140, Fax: Received: July 25, 2011 Accepted: August 11, 2011 Published: November 1, 2011 doi: /ijef.v3n6p227 URL: ijef.v3n6p227 Abstract The purpose of this study is to examine the causal relationship between Producer Price Index and Consumer Price Index for the five selected European countries, using seasonally adjusted monthly data from August 1995 to December Toda and Yamamoto causality test (1995) are employed to investigate causality. The results indicate that there is a unidirectional causality between producer price index and consumer price index, running from producer price index to consumer price index in Finland and France and bidirectional causality between two indices in Germany. In the case of the Netherlands and Sweden, no significant causality is detected. Keywords: Producer Price Index, Consumer Price Index, Cointegration, Toda and Yamamoto Causality Test 1. Introduction The Consumer Price Index (CPI) simply can be defined as a measure of average prices for a basket of goods commonly purchased by consumers. CPI is used for determining whether general prices are higher, lower or stable over time, calculating annual rate of inflation, and converting nominal values to real. The Producer Price Index (PPI) measures the average prices for a basket of inputs commonly purchased by producers. The PPI has two main functions: (1) to provide price indices for use in the deflation of gross domestic product data, and (2) to provide a general measure of inflation. Economists have argued that the PPI can be a useful indicator of future consumer inflation, as changes in prices paid by producers (changes in costs) often precede changes in prices paid by consumers. In the past, PPI is often called Wholesale Price Index (WPI). WPI focuses on the prices of traded goods and services between corporations, rather than goods and services bought by consumers. What is the causal relationship between PPI and CPI? Do producer prices cause consumer prices or consumer prices cause producer prices? There are two basic approaches about PPI and CPI causality relationship, namely supply side and demand side in literature. According to supply side approach, PPI and CPI are connected by production chain. Advocates of supply side approach claimed that crude materials serve as inputs to the production of intermediate goods, which in turn serve as inputs to the production of final goods. Changes in prices of crude materials should pass through to prices of intermediate and final goods and ultimately to consumer prices (Clark, 1995, p.26). Therefore, changes in PPI lead or cause CPI. PPI and CPI connection is summarized by Rogers (1998, p.53) as follows. Producer prices for crude materials Prices for intermediate products Producer prices for finished goods Consumer prices According to demand side approach demand for final goods and services determines the demand for inputs between competing uses. Thus, the cost of production reflects the opportunity cost of resources and intermediate goods, which in turn reflects demand for the final goods and services (Caporale, Katsimi and Pittis, 2002, p.705). Consequently, consumer prices can affect producer prices. Cushing and McGarvey (1990) assumed that demand for primary goods depends on expected future prices of consumer goods. This assumption implies that current demand and past expectations of current demand determine consumer price and expected future demand determines producer price. Changes in the demand for final goods have an impact on input prices, therefore CPI leads to PPI. The causality between PPI and CPI remains a controversial issue in empirical findings. There are three different empirical evidences about PPI and CPI nexus, namely one way, two-way and no causality in literature. The purpose of this study is to investigate causality between PPI and CPI for the five (Germany, France, Netherlands, Sweden, Finland) European countries which has low level of inflation. According to Eurostat, the Published by Canadian Center of Science and Education 227
2 average inflation rate for these countries for the period of is less than %2. Contrary to the previous studies that examined PPI and CPI causality for developing countries and countries that have high level of inflation, this study investigates PPI and CPI causality for European countries that has low level of inflation. With the above in mind, the rest of the study is organized as follows. Section II reviews the literature. Section III describes empirical methodology and the description of data. Section IV presents empirical results. The last section concludes the study. 2. Previous Research There are numerous studies examining the directions of causality between PPI and CPI in many countries over periods of time. Colclough and Lange (1982) investigated direction of causality between PPI and CPI by using Sims and Granger causality tests and they found that causality runs from consumer prices to producer prices in the USA. Jones (1986) provided evidence of bidirectional causality between PPI and CPI in the United States. Blomberg and Harris (1995) analyzed the short-and long-run relationships between PPI and CPI, by employing several VAR specifications for USA. They find that PPI does not have a significant predictive content for the future pattern of the CPI especially starting in the mid 1980s. Clark (1995) examined relationships between PPI and CPI, by using VAR forecasting models, over the period 1959:Q2-1994:Q4 in USA. His analysis reveals that changes in PPI do not systematically help predict CPI changes. In other words pass-through effect between PPI and CPI is weak. Caporale et al. (2002) looked at the relationship between PPI and CPI using Toda and Yamamoto approach (1995) for G7 countries for the period January 1976 to April 1999, by estimating bi-variate and five-variate VAR systems. In this study, the authors firstly estimated bi-variate VAR system. Results of bi-variate VAR system suggest that causality is unidirectional running from PPI to CPI in France and Germany, and causality is bidirectional in Italy, Japan, the United Kingdom and the United States. In Canada no causality found at all. The authors secondly estimated five-variate VAR system. Results of five-variate VAR system indicate that causality is unidirectional running from PPI to CPI for all countries. Akdi, Berument and Cilasun, (2006) studied long and short run relationships between Wholesale Price Index (WPI) and Consumer Price Index (CPI) using monthly data for the period 1987:01 to 2004:08 in Turkey. Their findings suggest that Engle and Granger (1987) and Johansen (1988) conventional tests give mixed results. They also, employed periodogram method to test whether there is a cointegrating relationship between two indices. Results of periodogram method suggest that there is no cointegration between PPI and CPI in Turkey. Moreover, they found a short- run relationship between WPI and CPI in Turkey. Ghazali, Yee and Muhammed (2008) examined the relationship between PPI and CPI using monthly data from January 1986 to April 2007 in Malaysia. The authors employed both Engle-Granger Vector Error Correction Model (VECM) and Toda and Yamamoto no-causality test. Results of both approach reveals a unidirectional causality running from PPI to CPI in Malaysia. Liping, Gang and Jiani (2008) analyzed the relationship between PPI and CPI using monthly data for China. The authors found a unidirectional causality between two indices that is running from CPI to PPI in China. Shahbaz, Awan and Nasir (2009) investigated the relationship between PPI and CPI using monthly data for Pakistan. The authors employed ARDL bounds testing and Johanson cointegration approach to determine the long run relationship between PPI and CPI. The authors also used Toda and Yamamato approach (1995) to determine causality between PPI and CPI. Their results have verified the existence of long run relationship between producer and consumer prices. They also found that there is bidirectional causality but it is stronger from producer to consumer prices. Sidaoui, Capistrán, Chiquiar, and Ramos-Francia (2010) examined the relationship between PPI and CPI using monthly data for Mexico. The authors employed Engle-Granger Vector Error Correction Model (VECM) to determine short run and long causality between PPI and CPI. They found that Granger causality is from the PPI to the CPI in the long run but in the short run there is no causality between PPI and CPI. 3. Data and Empirical Methodology This study uses monthly PPI and CPI data over the period August 1995 to December 2007, for the selected European countries. Both PPI and CPI data is obtained from the OECD Statistics. PPI and CPI series are seasonally adjusted by using Seat / Tramo method, and transformed into natural logarithm scale prior to analysis. One of the features of Vector Autoregression (VAR) model is that they permit us to test the direction of causality. In order to assess the causality between PPI and CPI, Toda and Yamamoto no-causality test is utilized. 228 ISSN X E-ISSN
3 Toda and Yamamoto method is chosen due (as noted by Shirazi and Abdul Manap, 2005, p. 478) to following reasons: a) the standard Granger (1969) causality test for inferring leads and lags among integrated variables is likely to give spurious regression results and F-test becomes invalid unless the variables are cointegrated, b) the error correction model (Engle and Granger 1987) and the VAR error correction model (Johansen and Juselius 1990) as alternatives for testing of non causality between time series are cumbersome, c) Toda and Phillips (1993) claimed that the Granger causality tests in ECMs still contain the possibility of incorrect inference and suffer from nuisance parameter dependency asymptotically in some cases. Toda and Yamamoto (1995) procedure has an advantage in that it does not require whether the series are I(0), I(1), I(2) or whether the series are cointegrated (see Caporale and Pittis, 1999). Toda and Yamamoto procedure can be applied even when there is no integration or stability, and when rank conditions are not satisfied so long as the order of integration of the process does not exceed the true lag length of the model (Toda and Yamamoto, 1995, p.225). Unlike the conventional Granger causality test, the Toda and Yamamoto (1995) approach fits a standard vector auto-regression on levels of the variables not on the first difference of the variables. Toda and Yamamoto approach requires estimation of an augmented VAR (k+d max ) model where k is the optimal lag length in the original VAR system, and d max is the maximal order of integration of the variables in the VAR system. The Toda and Yamamoto Granger causality test employs a modified Wald (MWald) test for zero restrictions on the parameters of the original VAR (k) model. The coefficient of the last lagged d max vectors is ignored in the VAR (k) model (see Caporale and Pittis, 1999; Rambaldi and Doran, 1996 and Zapata and Rambaldi, 1997). MWald test has 2 an asymptotic distribution when the augmented VAR (k+d max ) is estimated. According to Rambaldi and Doran (1996) MWald tests for testing Granger no-causality increases efficiency when Seemingly Unrelated Regression (SUR) models are employed in the estimation. Toda and Yamamoto Granger no-causality test is employed in this study by estimating the following bi-variate VAR system using the SUR method. PPI t = 0 + 1i PPI t-i + 2 j CPI t j + u t (1) i 1 j 1 CPI t = 0 + 1i CPI t-i + 2 j PPI t j + v t (2) i 1 j 1 PPI and CPI are logarithm of producer and consumer price index. The optimal lag order is k, d is the maximal order of integration of the variables in the system (d max ) and u t and v t are error terms that are assumed to be white noise. Each variable is regressed on each other variable lagged from one (1) to the k+d max lags in the SUR method, and the restriction that the lagged variables of interest are equal to zero is tested. From equation (1), CPI does not Granger cause PPI if H 0 : 2 j 0 against H1 : 2 j 0, where j k. Similarly, from equation (2), PPI does not Granger cause CPI if H : 0 against H : 0, where j k. 0 2 j 1 2 j 4. Empirical Results In the first stage of the empirical analysis, the Augmented Dickey-Fuller (ADF) unit root test is employed to test stationarity of the series. Results of unit root test are reported in Table 1. The results show that we can not reject the null hypothesis of unit roots for both variables in level forms. However, the null hypothesis is rejected when ADF unit root test is applied to the first differences of each variable. The first differences of the PPI and CPI are stationary indicating that these variables are integrated of order one, I (1). Insert Table 1 Here In the second stage of this study, Johansen and Juselius (1990) cointegration test is used to test the long run relationship of PPI and CPI series. As Engle and Granger (1987) pointed out, only variables with the same order of integration could be tested for cointegration. Since PPI and CPI series are integrated with the same order I (1) for all countries, cointegration test can be conducted. Insert Table 2 Here Table 2 provides, Trace and max statistics. The null hypothesis of no cointegration (r=0) against the alternative of r 1 and r 2 is tested. Both tests show that there is one cointegrating vector present between the variables, and it can be concluded that there is a long-run equilibrium relationship (linkage) present between PPI and CPI in Germany. Existence of a long - run relationship between two price indices in Germany means that existence of price stability in one index guarantees price stability in the other index in Germany. PPI and CPI series are not cointegrated in France, Sweden, Finland and Netherlands. Therefore, PPI and CPI do not closely move with each Published by Canadian Center of Science and Education 229
4 other in the long run. This means that CPI can not be predicted by looking at PPI. Thus, the higher cost of production will not necessarily increase inflation rate in France, Sweden, Finland, and the Netherlands. Insert Table 3 Here Table 3 reports, the optimal lag length (k), VAR order (k+d max ), MWald statistics, p values and direction of causality for each country. The null hypothesis Granger no causality from CPI to PPI can be rejected, but he null hypothesis Granger no causality from PPI to CPI can not be rejected for Finland and France. These results indicate that there is a unidirectional causality between PPI and CPI, and the direction of causality is from PPI to CPI in Finland and France. The supply side approach is therefore supported by the empirical evidence. The implication here is that policy makers can predict future inflation by using PPI in Finland and France. Both the null hypothesis Granger no causality from PPI to CPI and the null hypothesis Granger no causality from CPI to PPI can be rejected at the 5 percent level of significance for Germany. This indicates that there is bidirectional causality between PPI and CPI, in Germany. Both the supply side and demand side approaches are therefore supported by the empirical evidence for Germany. The implication here is that policy makers can predict future inflation by using PPI and CPI in Germany. In the case of the Netherlands and Sweden, there is no significant causality between PPI and CPI. 5. Conclusion Numerous studies have investigated the causality between the producer price index and the consumer price index in economic literature. Some studies found unidirectional, some studies found bidirectional and some other studies found no causality between PPI and CPI at all. In this study, cointegration, and methodology of Granger no-causality test developed by Toda and Yamamoto are employed to empirically investigate causal link between PPI, and CPI for the selected five European countries, using seasonally adjusted monthly data. The cointegration test results of Johansen and Juselius (1990) indicate that two variables are cointegrated in Germany, but not cointegrated in France, Finland, Sweden and the Netherlands. The results of Toda and Yamamoto no-causality test indicate a one-way causality between PPI and CPI in Finland and France. The direction of causality is from PPI to CPI in these countries. The results indicate that a price change recorded in a particular component of the PPI will eventually and directly be seen in the same component of the CPI in Finland and France. In the case of Germany there is a two-way causality between PPI and CPI and no significant causality detected in the Netherlands and Sweden. The empirical result supports supply side approach for the case of Finland and France and supports both supply side and demand side approach for the case of Germany. In the case of the Netherlands and Sweden neither supply side nor demand side approach is supported. This study provides mixed results on the direction of causality between CPI and PPI for the selected countries. This can be attributed to the model misspecification errors, omission of important variables and content of the baskets of producer and consumer price indices. References Akdi, Y., Berument, H., Cilasun, S.Y. (2006). The relationship between different price indices: Evidence from Turkey, Physica A 360,pp , Blomberg, S. B. and Haris, E. S. (1995). The commodity-consumer price connection: fact or fable?, Federal Reserve Bank of New York Economic Policy Review, Vol: 1, No: 3. pp Caporale, G. M. and Pittis, N. (1999). Efficient Estimation of Cointegrating Vectors and Testing for Causality in Vector Autoregressions, Journal of Economic Surveys, Vol. 13, pp. 3 35, Caporale, G. M., Katsimi, M. & Pittis, N. (2002). Causality links between consumer and producer prices: some empirical evidence, Southern Economic Journal, 68, pp , Clark, T. (1995). Do producer prices lead consumer prices?, Federal Reserve Bank of Kansas City Economic Review, Third Quarter, pp Colclough, W. G. and Lange, M. D. (1982). Empirical evidence of causality from consumer to wholesale prices, Journal of Econometrics, 19, pp , Cushing, M. J., and McGarvey, M. G. (1990). Feedback between wholesale and consumer price inflation: A reexamination of the evidence, Southern Economic Journal 56, pp , ISSN X E-ISSN
5 Dickey, D.A., and Fuller, W. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49, pp , Engle, R.F. and Granger C.W.J. (1987). Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, pp , Ghazali, M.F.,Yee, O.A, Muhammed, M.Z. (2008). Do Producer Prices Cause Consumer Prices? Some Emprical Evidence, International Journal of Business and Management, Vol. 3, No, 11, November 2008, pp Granger, C. W. J. (1969). Investigating Causal Relationships by Econometric Models and Cross-Spectral Models, Econometrica 37, no. 3: pp , Green, W.H. Econometric Analysis, Fourth Edition. Prentice Hall International, Inc., Johansen, S. (1988). Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, pp , Johansen, S., and Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, pp , Jones, J. D. (1986). Consumer prices, wholesale prices, and causality, Empirical Economics, 11, pp , Liping, H., Gang, F., Jiani, H. (2008),. CPI vs PPI: Which Drives Which?, Economic Research Journal, Vol. 43, No. 11, pp OECD, Statistics, Rambaldi, A.N. and Doran, H. (1996). Testing for Granger non-causality in cointegrated systems made easy, Working Paper in Econometrics and Applied Statistics No. 88, Department of Econometrics, University of New England, Armidale. Rogers, R. M. (1998). A Primer on Short-Term Linkages Key Economic Data Series, Federal Reserve Bank of Atlanta Economic Review, Second Quarter, pp Shahbaz M. S., Awan R. U., Nasir N. M. (2009). Producer & Consumer Prices Nexus: ARDL Bounds Testing Approach, International Journal of Marketing Studies, Vol:1, No:2, November, pp Shirazi, N., S., Manap, T., A. (2005). Export-Led Growth Hypothesis: Further Econometric Evidence from South Asia, The Developing Economies, XLIII-4,December, pp , Sidaoui J., Capistrán C., Chiquiar, D., and Manuel Ramos-Francia M. (2010). On the predictive content of the PPI on CPI inflation: the case of Mexico, Bank for International Settlements Papers, No:49, pp Toda, H.Y., Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes, Journal of Econometrics 66, pp , Toda, H. Y., and Phillips P. C. B. (1993). Vector Autoregressions and Causality, Econometrica 61, no. 6: pp , Zapata, H. O., Rambaldi, A. N. (1997). Monte Carlo evidence on cointagration and causation, Oxford Bulletin of Economics and Statistics, 52, pp , Published by Canadian Center of Science and Education 231
6 Table 1. ADF Unit Root Tests Country Series Level Critical First Critical Integration Value Difference Value Order Constant & Trend Constant I (d) Sweden PPI (4) * (4) I(1) CPI (4) * (4) I(1) France PPI (2) * (2) I(1) CPI (1) * (1) I(1) Germany PPI (1) * (1) I(1) CPI (1) * (1) I(1) Finland PPI (4) *(4) I(1) CPI (4) * (4) I(1) Netherlands PPI (1) *(1) I(1) CPI (3) * (3) I(1) Notes: The numbers in parentheses indicates the selected lag order of the ADF model. Lags are chosen based on Akaike Information Criterion (AIC). * indicate significance at 5% levels. EViews 5.0 was used for all computations. Table 2. Johansen - Juselius likelihood cointegration tests between PPI and CPI Country Hypothesis Alternative Eigen -value Trace max Sweden France Germany Finland Netherlands r=0 r= r 1 r= r=0 r= r 1 r=2 6.40E r=0 r= * * r 1 r= r=0 r= r 1 r= r=0 r= r 1 r= Notes: * indicate significance at 5% level and r denotes number of cointegrating vectors. EViews 5.0 was used for all computations. Table 3. Toda Yamamoto No-Causality Test Results Country Null Hypothesis Lag(k) k+d max MWald Statistics p-values Direction of Causality Sweden CPI does not Granger Cause PPI =8 No causality France *** CPI does not Granger Cause PPI 8 8+1= PPI CPI Germany Finland Netherlands CPI does not Granger Cause PPI CPI does not Granger Cause PPI CPI does not Granger Cause PPI 8 8+1= = = ** *** * PPI CPI PPI CPI No causality Notes: The (k+d max ) denotes Var order. The lag length selection was based on Akaike information criterion. ***, ** and * denotes 1%, 5% and %10 significance level, respectively. EViews 5.0 was used for all computations. 232 ISSN X E-ISSN
Energy consumption and GDP: causality relationship in G-7 countries and emerging markets
Ž. Energy Economics 25 2003 33 37 Energy consumption and GDP: causality relationship in G-7 countries and emerging markets Ugur Soytas a,, Ramazan Sari b a Middle East Technical Uni ersity, Department
More informationTEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND
I J A B E R, Vol. 13, No. 4, (2015): 1525-1534 TEMPORAL CAUSAL RELATIONSHIP BETWEEN STOCK MARKET CAPITALIZATION, TRADE OPENNESS AND REAL GDP: EVIDENCE FROM THAILAND Komain Jiranyakul * Abstract: This study
More informationIS THERE A LONG-RUN RELATIONSHIP
7. IS THERE A LONG-RUN RELATIONSHIP BETWEEN TAXATION AND GROWTH: THE CASE OF TURKEY Salih Turan KATIRCIOGLU Abstract This paper empirically investigates long-run equilibrium relationship between economic
More informationIMPACT OF FOREIGN EXCHANGE RESERVES ON NIGERIAN STOCK MARKET Olayinka Olufisayo Akinlo, Obafemi Awolowo University, Ile-Ife, Nigeria
International Journal of Business and Finance Research Vol. 9, No. 2, 2015, pp. 69-76 ISSN: 1931-0269 (print) ISSN: 2157-0698 (online) www.theibfr.org IMPACT OF FOREIGN EXCHANGE RESERVES ON NIGERIAN STOCK
More informationOn the long run relationship between gold and silver prices A note
Global Finance Journal 12 (2001) 299 303 On the long run relationship between gold and silver prices A note C. Ciner* Northeastern University College of Business Administration, Boston, MA 02115-5000,
More informationDoes A Long-Run Relationship Exist between Agriculture and Economic Growth in Thailand?
Does A Long-Run Relationship Exist between Agriculture and Economic Growth in Thailand? Chalermpon Jatuporn (Corresponding author) Department of Applied Economics, National Chung Hsing University 250,
More informationTesting The Quantity Theory of Money in Greece: A Note
ERC Working Paper in Economic 03/10 November 2003 Testing The Quantity Theory of Money in Greece: A Note Erdal Özmen Department of Economics Middle East Technical University Ankara 06531, Turkey ozmen@metu.edu.tr
More informationCo-movements of NAFTA trade, FDI and stock markets
Co-movements of NAFTA trade, FDI and stock markets Paweł Folfas, Ph. D. Warsaw School of Economics Abstract The paper scrutinizes the causal relationship between performance of American, Canadian and Mexican
More informationANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS
Applied Time Series Analysis ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Stationarity, cointegration, Granger causality Aleksandra Falkowska and Piotr Lewicki TABLE OF CONTENTS 1.
More informationEconomic Globalization and its Impact on Poverty and Inequality: Evidence From Pakistan
Economic Globalization and its Impact on Poverty and Inequality: Evidence From Pakistan Abid Hameed ECO-Trade and Development Bank Anila Nazir Fatima Jinnah Women University ABSTRACT Proponents of economic
More informationDepartment of Economics
Department of Economics Working Paper Do Stock Market Risk Premium Respond to Consumer Confidence? By Abdur Chowdhury Working Paper 2011 06 College of Business Administration Do Stock Market Risk Premium
More informationWorking Papers. Cointegration Based Trading Strategy For Soft Commodities Market. Piotr Arendarski Łukasz Postek. No. 2/2012 (68)
Working Papers No. 2/2012 (68) Piotr Arendarski Łukasz Postek Cointegration Based Trading Strategy For Soft Commodities Market Warsaw 2012 Cointegration Based Trading Strategy For Soft Commodities Market
More informationENDOGENOUS GROWTH MODELS AND STOCK MARKET DEVELOPMENT: EVIDENCE FROM FOUR COUNTRIES
ENDOGENOUS GROWTH MODELS AND STOCK MARKET DEVELOPMENT: EVIDENCE FROM FOUR COUNTRIES Guglielmo Maria Caporale, South Bank University London Peter G. A Howells, University of East London Alaa M. Soliman,
More informationGranger Causality between Government Revenues and Expenditures in Korea
Volume 23, Number 1, June 1998 Granger Causality between Government Revenues and Expenditures in Korea Wan Kyu Park ** 2 This paper investigates the Granger causal relationship between government revenues
More informationThe price-volume relationship of the Malaysian Stock Index futures market
The price-volume relationship of the Malaysian Stock Index futures market ABSTRACT Carl B. McGowan, Jr. Norfolk State University Junaina Muhammad University Putra Malaysia The objective of this study is
More informationChapter 5: Bivariate Cointegration Analysis
Chapter 5: Bivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie V. Bivariate Cointegration Analysis...
More informationThe Effect of Infrastructure on Long Run Economic Growth
November, 2004 The Effect of Infrastructure on Long Run Economic Growth David Canning Harvard University and Peter Pedroni * Williams College --------------------------------------------------------------------------------------------------------------------
More informationRelationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia
Relationship between Commodity Prices and Exchange Rate in Light of Global Financial Crisis: Evidence from Australia Omar K. M. R. Bashar and Sarkar Humayun Kabir Abstract This study seeks to identify
More informationTesting for Granger causality between stock prices and economic growth
MPRA Munich Personal RePEc Archive Testing for Granger causality between stock prices and economic growth Pasquale Foresti 2006 Online at http://mpra.ub.uni-muenchen.de/2962/ MPRA Paper No. 2962, posted
More informationFinancial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis
INTERNATIONAL JOURNAL OF BUSINESS, 8(3), 2003 ISSN:1083-4346 Financial Integration of Stock Markets in the Gulf: A Multivariate Cointegration Analysis Aqil Mohd. Hadi Hassan Department of Economics, College
More informationThe VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series.
Cointegration The VAR models discussed so fare are appropriate for modeling I(0) data, like asset returns or growth rates of macroeconomic time series. Economic theory, however, often implies equilibrium
More informationRelationship between Stock Futures Index and Cash Prices Index: Empirical Evidence Based on Malaysia Data
2012, Vol. 4, No. 2, pp. 103-112 ISSN 2152-1034 Relationship between Stock Futures Index and Cash Prices Index: Empirical Evidence Based on Malaysia Data Abstract Zukarnain Zakaria Universiti Teknologi
More informationTHE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET
116 THE EFFECT OF MONETARY GROWTH VARIABILITY ON THE INDONESIAN CAPITAL MARKET D. Agus Harjito, Bany Ariffin Amin Nordin, Ahmad Raflis Che Omar Abstract Over the years studies to ascertain the relationship
More informationThe Impact of Foreign Direct Investment on the Growth of the Manufacturing Sector in Malaysia
International Applied Economics and Management Letters 1(1): 41-45 (2008) The Impact of Foreign Direct Investment on the Growth of the Manufacturing Sector in Malaysia Hooi Hooi Lean Economics Program,
More informationThe Relationship between Current Account and Government Budget Balance: The Case of Kuwait
International Journal of Humanities and Social Science Vol. 2 No. 7; April 2012 The Relationship between Current Account and Government Budget Balance: The Case of Kuwait Abstract Ebrahim Merza Economics
More informationijcrb.com INTERDISCIPLINARY JOURNAL OF CONTEMPORARY RESEARCH IN BUSINESS AUGUST 2014 VOL 6, NO 4
RELATIONSHIP AND CAUSALITY BETWEEN INTEREST RATE AND INFLATION RATE CASE OF JORDAN Dr. Mahmoud A. Jaradat Saleh A. AI-Hhosban Al al-bayt University, Jordan ABSTRACT This study attempts to examine and study
More informationOn the predictive content of the PPI on CPI inflation: the case of Mexico
On the redictive content of the PPI on inflation: the case of Mexico José Sidaoui, Carlos Caistrán, Daniel Chiquiar and Manuel Ramos-Francia 1 1. Introduction It would be natural to exect that shocks to
More informationBusiness Cycles and Natural Gas Prices
Department of Economics Discussion Paper 2004-19 Business Cycles and Natural Gas Prices Apostolos Serletis Department of Economics University of Calgary Canada and Asghar Shahmoradi Department of Economics
More informationDo Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy
Do Commercial Banks, Stock Market and Insurance Market Promote Economic Growth? An analysis of the Singapore Economy Tan Khay Boon School of Humanities and Social Studies Nanyang Technological University
More informationForecasting the US Dollar / Euro Exchange rate Using ARMA Models
Forecasting the US Dollar / Euro Exchange rate Using ARMA Models LIUWEI (9906360) - 1 - ABSTRACT...3 1. INTRODUCTION...4 2. DATA ANALYSIS...5 2.1 Stationary estimation...5 2.2 Dickey-Fuller Test...6 3.
More informationDoes Insurance Promote Economic Growth? Evidence from the UK
Does Insurance Promote Economic Growth? Evidence from the UK Maurice Kugler and Reza Ofoghi * July 2005 Abstract The first conference of UNCTAD in 1964 acknowledged the development of national insurance
More informationThe Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations
The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations Vichet Sum School of Business and Technology, University of Maryland, Eastern Shore Kiah Hall, Suite 2117-A
More informationPerforming Unit Root Tests in EViews. Unit Root Testing
Página 1 de 12 Unit Root Testing The theory behind ARMA estimation is based on stationary time series. A series is said to be (weakly or covariance) stationary if the mean and autocovariances of the series
More informationThe effect of Macroeconomic Determinants on the Performance of the Indian Stock Market
The effect of Macroeconomic Determinants on the Performance of the Indian Stock Market 1 Samveg Patel Abstract The study investigates the effect of macroeconomic determinants on the performance of the
More informationPrice efficiency in tuna fish marketing in Sri Lanka - An application of cointegration approach
21 Sri Lanka J. Aquat. Sci. 11 (2006): 21-26 Price efficiency in tuna fish marketing in Sri Lanka - An application of cointegration approach Y.Y.K. DE SILVA 1, P.S.K. RAJAPAKSHE 2 AMARALAL 3 AND K.H.M.L.
More informationHow budget deficit and current account deficit are interrelated in Indian economy
Theoretical and Applied Economics FFet al Volume XXIII (2016), No. 1(606), Spring, pp. 237-246 How budget deficit and current account deficit are interrelated in Indian economy U.J. BANDAY Jamia Millia
More informationDo Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices Paul Berhanu Girma, State University of New York at New Paltz, USA
Do Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices Paul Berhanu Girma, State University of New York at New Paltz, USA ABSTRACT This study investigated if there is an asymmetric
More informationCausal Correlation between Exchange Rate and Stock Index: Evidence from VN-Index
Asian Social Science; Vol. 12, No. 8; 2016 ISSN 1911-2017 E-ISSN 1911-2025 Published by Canadian Center of Science and Education Causal Correlation between Exchange Rate and Stock Index: Evidence from
More informationCOINTEGRATION AND CAUSAL RELATIONSHIP AMONG CRUDE PRICE, DOMESTIC GOLD PRICE AND FINANCIAL VARIABLES- AN EVIDENCE OF BSE AND NSE *
Journal of Contemporary Issues in Business Research ISSN 2305-8277 (Online), 2013, Vol. 2, No. 1, 1-10. Copyright of the Academic Journals JCIBR All rights reserved. COINTEGRATION AND CAUSAL RELATIONSHIP
More informationAn Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China
An Empirical Study on the Relationship between Stock Index and the National Economy: The Case of China Ming Men And Rui Li University of International Business & Economics Beijing, People s Republic of
More informationThe Engle-Granger representation theorem
The Engle-Granger representation theorem Reference note to lecture 10 in ECON 5101/9101, Time Series Econometrics Ragnar Nymoen March 29 2011 1 Introduction The Granger-Engle representation theorem is
More informationThe Effects of Oil Price Changes And Exchange Rate Volatility On. Unemployment: Evidence From Malaysia
International Journal of Research in Business and Social Science IJRBS Vol.2 No.4, 2013 ISSN: 2147-4478 available online at www.ssbfnet.com The Effects of Oil Price Changes And Exchange Rate Volatility
More informationThe Impact of Economic Globalization on Income Distribution: Empirical Evidence in China. Abstract
The Impact of Economic Globalization on Income Distribution: Empirical Evidence in China Xiaofei Tian Hebei University Baotai Wang University of Northern BC Ajit Dayanandan University of Northern BC Abstract
More informationUnit Labor Costs and the Price Level
Unit Labor Costs and the Price Level Yash P. Mehra A popular theoretical model of the inflation process is the expectationsaugmented Phillips-curve model. According to this model, prices are set as markup
More informationRelationship among crude oil prices, share prices and exchange rates
Relationship among crude oil prices, share prices and exchange rates Do higher share prices and weaker dollar lead to higher crude oil prices? Akira YANAGISAWA Leader Energy Demand, Supply and Forecast
More informationThe Co-integration of European Stock Markets after the Launch of the Euro
PANOECONOMICUS, 2008, 3, str. 309-324 UDC 336.76(4-672 EU:497):339.92 ORIGINAL SCIENTIFIC PAPER The Co-integration of European Stock Markets after the Launch of the Euro José Soares da Fonseca * Summary:
More informationAre the US current account deficits really sustainable? National University of Ireland, Galway
Provided by the author(s) and NUI Galway in accordance with publisher policies. Please cite the published version when available. Title Are the US current account deficits really sustainable? Author(s)
More informationBusiness cycles and natural gas prices
Business cycles and natural gas prices Apostolos Serletis and Asghar Shahmoradi Abstract This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural
More informationEmpirical Test of Okun s Law in Nigeria
Empirical Test of Okun s Law in Nigeria by Abiodun S. Bankole, Basiru Oyeniran Fatai Trade Policy Research and Training Programme Department of Economics, University of Ibadan, Ibadan, Nigeria bashal4me@yahoo.com,
More informationA Century of PPP: Supportive Results from non-linear Unit Root Tests
Mohsen Bahmani-Oskooee a, Ali Kutan b and Su Zhou c A Century of PPP: Supportive Results from non-linear Unit Root Tests ABSTRACT Testing for stationarity of the real exchange rates is a common practice
More informationExamining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market
2012 2nd International Conference on Computer and Software Modeling (ICCSM 2012) IPCSIT vol. 54 (2012) (2012) IACSIT Press, Singapore DOI: 10.7763/IPCSIT.2012.V54.20 Examining the Relationship between
More informationDynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange
Dynamics of Real Investment and Stock Prices in Listed Companies of Tehran Stock Exchange Farzad Karimi Assistant Professor Department of Management Mobarakeh Branch, Islamic Azad University, Mobarakeh,
More informationTHE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE
THE EFFECTS OF BANKING CREDIT ON THE HOUSE PRICE * Adibeh Savari 1, Yaser Borvayeh 2 1 MA Student, Department of Economics, Science and Research Branch, Islamic Azad University, Khuzestan, Iran 2 MA Student,
More informationRevisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices
American Journal of Applied Sciences 2 (5): 996-1002, 2005 ISSN 1546-9239 Science Publications, 2005 Revisiting Share Market Efficiency: Evidence from the New Zealand Australia, US and Japan Stock Indices
More informationPermanent Link: http://espace.library.curtin.edu.au/r?func=dbin-jump-full&local_base=gen01-era02&object_id=137679
Citation: Salim, Ruhul A. and Bloch, Harry. 2007. Business expenditures on R&D and trade performances in Australia: is there a link? Applied Economics. 41 (3): pp. 351-361. Additional Information: If you
More informationHow do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach.
How do oil prices affect stock returns in GCC markets? An asymmetric cointegration approach. Mohamed El Hedi AROURI (LEO-Université d Orléans & EDHEC, mohamed.arouri@univ-orleans.fr) Julien FOUQUAU (ESC
More informationThe Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment
The Long-Run Relation Between The Personal Savings Rate And Consumer Sentiment Bradley T. Ewing 1 and James E. Payne 2 This study examined the long run relationship between the personal savings rate and
More informationChapter 6: Multivariate Cointegration Analysis
Chapter 6: Multivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie VI. Multivariate Cointegration
More informationMARC Working Paper Series Working Paper No. 2009-02
Management and Administration Research Center,, METU MARC Working Paper Series Working Paper No. 2009-02 DIVERSIFICATION BY INVESTING IN THE TURKISH STOCK MARKET Engin Küçükkaya, METU Dep. of Business
More informationVector Time Series Model Representations and Analysis with XploRe
0-1 Vector Time Series Model Representations and Analysis with plore Julius Mungo CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin mungo@wiwi.hu-berlin.de plore MulTi Motivation
More informationINFLATION, INTEREST RATE, AND EXCHANGE RATE: WHAT IS THE RELATIONSHIP?
107 INFLATION, INTEREST RATE, AND EXCHANGE RATE: WHAT IS THE RELATIONSHIP? Maurice K. Shalishali, Columbus State University Johnny C. Ho, Columbus State University ABSTRACT A test of IFE (International
More informationCHANGES IN FUEL OIL PRICES IN TURKEY: AN ESTIMATION OF THE INFLATION EFFECT USING VAR ANALYSIS
Journal of Economics and Business Volume XIV - 2011, No 2 (11-21) CHANGES IN FUEL OIL PRICES IN TURKEY: AN ESTIMATION OF THE INFLATION EFFECT USING VAR ANALYSIS Tuncay Çelik 1 Erciyes University, Kayseri,
More informationPopulation Growth and Economic Development: Empirical Evidence from the Philippines
Philippine Journal of Development Number 68, First Semester 2010 Volume XXXVII, No. 1 Population Growth and Economic Development: Empirical Evidence from the Philippines Fumitaka Furuoka 1 Abstract In
More informationTHE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay. Solutions to Homework Assignment #2
THE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay Solutions to Homework Assignment #2 Assignment: 1. Consumer Sentiment of the University of Michigan.
More informationIs the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate?
Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Emily Polito, Trinity College In the past two decades, there have been many empirical studies both in support of and opposing
More informationTHE U.S. CURRENT ACCOUNT: THE IMPACT OF HOUSEHOLD WEALTH
THE U.S. CURRENT ACCOUNT: THE IMPACT OF HOUSEHOLD WEALTH Grant Keener, Sam Houston State University M.H. Tuttle, Sam Houston State University 21 ABSTRACT Household wealth is shown to have a substantial
More informationOil Price Shocks and Stock Market Behaviour: The Nigerian Experience
Kamla-Raj 2012 J Economics, 3(1): 19-24 (2012) Oil Price Shocks and Stock Market Behaviour: The Nigerian Experience Anthony Olugbenga Adaramola Department of Banking and Finance, Ekiti State University,
More informationHow To Find The Impact Of Gold On Economic Growth Of Turkey
Is Gold Really in Action in Turkey? Betül Ismić 1 Abstract Turkey has been a significant gold importer since 1985 for three reasons: The production of gold is on a limited scale, high gold demand is pretty
More informationUniversity. Georgia State University. The Viability of Fiscal Policy in South Korea, Taiwan, and Thailand. International Studies Program
University International Studies Program Working Paper 02-09 March 2002 The Viability of Fiscal Policy in South Korea, Taiwan, and Thailand Tsangyao Chang WenRong Liu Henry Thompson Georgia State University
More informationTHE MAIN DETERMINANTS OF ECONOMIC GROWTH: AN EMPIRICAL INVESTIGATION WITH GRANGER CAUSALITY ANALYSIS FOR GREECE. University of Macedonia
THE MAIN DETERMINANTS OF ECONOMIC GROWTH: AN EMPIRICAL INVESTIGATION WITH GRANGER CAUSALITY ANALYSIS FOR GREECE Nikolaos Dritsakis 1 Erotokritos Varelas 2 - Antonios Adamopoulos 1 1 Department of Applied
More informationAN EMPIRICAL INVESTIGATION OF THE RELATIONSHIP AMONG P/E RATIO, STOCK RETURN AND DIVIDEND YIELS FOR ISTANBUL STOCK EXCHANGE
AN EMPIRICAL INVESTIGATION OF THE RELATIONSHIP AMONG P/E RATIO, STOCK RETURN AND DIVIDEND YIELS FOR ISTANBUL STOCK EXCHANGE Funda H. SEZGIN Mimar Sinan Fine Arts University, Faculty of Science and Letters
More informationThe Impact of Capital Expenditure in the Nigeria Public Sector on Economic Growth
16 The Impact of Capital Expenditure in the Nigeria Public Sector on Economic Growth By VINCENT E. AGUNUWA Department of Banking and Finance, Delta State Polytechnic, Otefe Oghara. And JUDE O. NOMUOJA
More informationTHE CONTRIBUTION OF EQUIPMENT LEASING IN THE ERROR- CORRECTION MODEL OF INVESTMENT IN MACHINERY AND EQUIPMENT: EVIDENCE FROM ITALY ZANIN, Luca *
Applied Econometrics and International Development Vol. 9-2 (2009) THE CONTRIBUTION OF EQUIPMENT LEASING IN THE ERROR- CORRECTION MODEL OF INVESTMENT IN MACHINERY AND EQUIPMENT: EVIDENCE FROM ITALY ZANIN,
More informationAnalysing the Pass-through Effects of Oil Prices on Inflation in South Africa: Grangercausality. Masipa Tshepo
Analysing the Pass-through Effects of Oil Prices on Inflation in South Africa: Grangercausality Approach Masipa Tshepo Department of Economics, University of Limpopo masipatshepo@gmail.com Abstract Since
More informationAn Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns
The Lahore Journal of Economics 14 : 1 (Summer 2009): pp. 115-137 An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns Arshad Hasan * and M. Tariq Javed
More informationSerhat YANIK* & Yusuf AYTURK*
LEAD-LAG RELATIONSHIP BETWEEN ISE 30 SPOT AND FUTURES MARKETS Serhat YANIK* & Yusuf AYTURK* Abstract The lead-lag relationship between spot and futures markets indicates which market leads to the other.
More informationWhy the saving rate has been falling in Japan
MPRA Munich Personal RePEc Archive Why the saving rate has been falling in Japan Yoshiaki Azuma and Takeo Nakao January 2009 Online at http://mpra.ub.uni-muenchen.de/62581/ MPRA Paper No. 62581, posted
More informationThe Relationship Between Exchange Rates and Stock Prices: A Causality Analysis. Saadet Kasman *
Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi Cilt 5, Sayı:2, 2003 The Relationship Between Exchange Rates and Stock Prices: A Causality Analysis Saadet Kasman * Abstract: This paper analyzes
More informationImpact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study of the Weakening Effects in Relationship
International Journal of Energy Economics and Policy Vol. 2, No. 3, 2012, pp.108-122 ISSN: 2146-4553 www.econjournals.com Impact of Oil Price Increases on U.S. Economic Growth: Causality Analysis and Study
More informationInterest Rate and Loan Supply: Islamic Versus Conventional Banking System
Jurnal kollomi Malaysia 35 (2001) 61-68 Interest Rate and Loan Supply: Islamic Versus Conventional Banking System Liza Marwati Mohd Yusoff Aisyah Abdul Rahman Norazlan Alias ABSTRACT This paper attempts
More informationTOURISM AS A LONG-RUN ECONOMIC GROWTH FACTOR: AN EMPIRICAL INVESTIGATION FOR GREECE USING CAUSALITY ANALYSIS. Nikolaos Dritsakis
TOURISM AS A LONG-RUN ECONOMIC GROWTH FACTOR: AN EMPIRICAL INVESTIGATION FOR GREECE USING CAUSALITY ANALYSIS Nikolaos Dritsakis Department of Applied Informatics University of Macedonia Economics and Social
More informationThe Impact of Foreign Direct Investment and Real Exchange Rate on Economic Growth in Malaysia: Some Empirical Evidence
Malaysian Journal of Business and Economics Vol. 1, No. 1, June 2014, 73 85 ISSN 2289-6856 The Impact of Foreign Direct Investment and Real Exchange Rate on Economic Growth in Malaysia: Rozilee Asid a,
More informationFinancial Integration among ASEAN+3 Countries: Evidence from Exchange Rates
MPRA Munich Personal RePEc Archive Financial Integration among ASEAN+3 Countries: Evidence from Exchange Rates Chin Lee and Azali M. FACULTY OF ECONOMICS & MANAGEMENT, UNIVERSITI PUTRA MALAYSIA, 43400
More informationCointegration And Causality Analysis of Government Expenditure And Economic Growth In Nigeria
Cointegration And Causality Analysis of Government Expenditure And Economic Growth In Nigeria Chiawa, M. M, Torruam, J. T, Abur, C. C Abstract:- The study investigates government expenditure and economic
More informationMACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC.
MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC. Oliver Ike Inyiama Ph.D, FCA and Chike Nwoha PhD, FCNA Department of Accountancy, Enugu
More informationDEPARTMENT OF ECONOMICS CREDITOR PROTECTION AND BANKING SYSTEM DEVELOPMENT IN INDIA
DEPARTMENT OF ECONOMICS CREDITOR PROTECTION AND BANKING SYSTEM DEVELOPMENT IN INDIA Simon Deakin, University of Cambridge, UK Panicos Demetriades, University of Leicester, UK Gregory James, University
More informationThe Relationship between Insurance Market Activity and Economic Growth
The Relationship between Insurance Market Activity and Economic Growth Yana Petrova 1 Abstract This research examines the short- and the long-run relationship between insurance market activity and economic
More informationAdoptability of Korean Growth Model to Developing Economies: The Case Study of Pakistan
Middle-East Journal of Scientific Research 13(Special Issue of Economics): 43-49, 2013 ISSN 1990-9233 IDOSI Publications, 2013 DOI: 10.5829/idosi.mejsr.2013.13.e.13010 Adoptability of Korean Growth Model
More informationTHE INCREASING INFLUENCE OF OIL PRICES ON THE CANADIAN STOCK MARKET
The International Journal of Business and Finance Research VOLUME 7 NUMBER 3 2013 THE INCREASING INFLUENCE OF OIL PRICES ON THE CANADIAN STOCK MARKET Shahriar Hasan, Thompson Rivers University Mohammad
More informationTHE IMPACT OF EXCHANGE RATE VOLATILITY ON BRAZILIAN MANUFACTURED EXPORTS
THE IMPACT OF EXCHANGE RATE VOLATILITY ON BRAZILIAN MANUFACTURED EXPORTS ANTONIO AGUIRRE UFMG / Department of Economics CEPE (Centre for Research in International Economics) Rua Curitiba, 832 Belo Horizonte
More informationIIMK/WPS/155/ECO/2014/13. Kausik Gangopadhyay 1 Abhishek Jangir 2 Rudra Sensarma 3
IIMK/WPS/155/ECO/2014/13 FORECASTING THE PRICE OF GOLD: AN ERROR CORRECTION APPROACH Kausik Gangopadhyay 1 Abhishek Jangir 2 Rudra Sensarma 3 1 Assistant Professor, Indian Institute of Management Kozhikode,
More informationRelative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan
Relative Effectiveness of Foreign Debt and Foreign Aid on Economic Growth in Pakistan Abstract Zeshan Arshad Faculty of Management and Sciences, Evening Program, University of Gujrat, Pakistan. Muhammad
More informationINTERTEMPORAL SOLVENCY AND PUBLIC DEBT: EVIDENCE FROM BRAZIL 1995-2004
INTERTEMPORAL SOLVENCY AND PUBLIC DEBT: EVIDENCE FROM BRAZIL 1995-2004 Geraldo da Silva e Souza* Tito Belchior S. Moreira** Joaquim Ramalho de Albuquerque*** This article investigates the long-run solvency
More informationEconomic Growth Centre Working Paper Series
Economic Growth Centre Working Paper Series The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies by Thai-Ha LE and Youngho CHANG Economic Growth Centre Division of
More informationFiscal Deficit, Trade Deficit, and Financial Account Deficit: Triple Deficits Hypothesis with the U.S. Experience
DEPARTMENT OF ECONOMICS ISSN 1441-5429 DISCUSSION PAPER 06/14 Fiscal Deficit, Trade Deficit, and Financial Account Deficit: Triple Deficits Hypothesis with the U.S. Experience Tuck Cheong TANG Abstract:
More informationInterrelationship and Volatility Transmission. between Grain and Oil Prices
Interrelationship and Volatility Transmission between Grain and Oil Prices MINJI KONG, Korea Rural Economic Institute Doo Bong Han, Korea University Rodolfo M. Nayga, Jr., University of Arkansas Contact
More informationImplied volatility transmissions between Thai and selected advanced stock markets
MPRA Munich Personal RePEc Archive Implied volatility transmissions between Thai and selected advanced stock markets Supachok Thakolsri and Yuthana Sethapramote and Komain Jiranyakul Public Enterprise
More informationTHE IMPACT OF R&D EXPENDITURE ON FIRM PERFORMANCE IN MANUFACTURING INDUSTRY: FURTHER EVIDENCE FROM TURKEY
THE IMPACT OF R&D EXPENDITURE ON FIRM PERFORMANCE IN MANUFACTURING INDUSTRY: FURTHER EVIDENCE FROM TURKEY Dr.Erkan ÖZTÜRK Sakarya University, Department of Accounting and Taxification, Sakarya, Turkey,
More informationGranger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: the (ir)relevance of structural breaks
Working Paper Series Department of Economics University of Verona Granger non-causality tests between (non)renewable energy consumption and output in Italy since 1861: the (ir)relevance of structural breaks
More informationThe Relationships between Economic Growth and Environmental Pollution Based on Time Series Data:An Empirical Study of Zhejiang Province
Journal of Cambridge Studies 33 The Relationships between Economic Growth and Environmental Pollution Based on Time Series Data:An Empirical Study of Zhejiang Province Lixia YANG 1 Shaofeng YUAN 2 * Le
More information